A new rank dependent utility approach to model risk averse preferences in portfolio optimization

DOI10.1007/S10479-014-1761-9zbMath1341.91124OpenAlexW2014129541MaRDI QIDQ286005

Yuri Lawryshyn, Leili Javanmardi

Publication date: 19 May 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1761-9

zbMATH Keywords

linear programmingportfolio selectionefficient portfoliorisk averse investorrisk aversion degreesecond-order stochastic dominance

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (3)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Novel approaches for portfolio construction using second order stochastic dominance ⋮ Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization

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